Crane Data's September Money Fund Portfolio Holdings, with data as of Aug. 31, 2023, show that Treasury holdings surged in August while Repo plunged. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $106.7 billion to a record $5.919 trillion, after increasing $78.3 billion in July, $46.1 billion in June, $92.6 billion in May, $81.2 billion in April and $390.5 billion in March. Repo dropped but continues to lead as the largest portfolio segment, falling by nearly $100 billion. Treasuries jumped by over $160 billion but remained in the No. 2 spot. But the U.S. Treasury surpassed the Federal Reserve Bank of New York as the largest Issuer to MMFs, jumping to $1.586 trillion vs. the Fed RRP's $1.560 trillion (down $188.5 billion). Agencies were the third largest segment, CP remained fourth, ahead of CDs, Other/Time Deposits and VRDNs. Below, we review our latest Money Fund Portfolio Holdings statistics.
Among taxable money funds, Repurchase Agreements (repo) decreased $96.8 billion (-3.1%) to $3.005 trillion, or 50.8% of holdings, in August, after decreasing $99.4 billion in July and $146.4 billion in June. Repo increased $111.8 billion in May and $33.1 billion in April. Treasury securities rose $163.3 billion (11.5%) to $1.586 trillion, or 26.8% of holdings, after increasing $185.5 billion in July and $355.7 billion in June. They decreased $116.9 billion in May and $32.3 billion in April. Government Agency Debt was up $16.4 billion, or 2.5%, to $683.7 billion, or 11.6% of holdings. Agencies decreased $66.5 billion in July and $119.3 billion in June, but increased $58.8 billion in May and $18.5 billion in April. Repo, Treasuries and Agency holdings now total $5.275 trillion, representing a massive 89.1% of all taxable holdings.
Money fund holdings of CP and CDs both increased in August. Commercial Paper (CP) increased $4.8 billion (1.7%) to $280.2 billion, or 4.7% of holdings. CP holdings increased $22.0 billion in July, decreased $2.3 billion in June and increased $6.5 billion in May. Certificates of Deposit (CDs) increased $14.4 billion (7.7%) to $202.5 billion, or 3.4% of taxable assets. CDs increased $7.2 billion in July, $7.9 billion in June and $2.1 billion in May. Other holdings, primarily Time Deposits, increased $4.3 billion (2.9%) to $151.2 billion, or 2.6% of holdings, after increasing $29.3 billion in July, decreasing $49.8 billion in June and increasing $30.4 billion in May. VRDNs rose to $10.3 billion, or 0.2% of assets. (Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately Wednesday around noon.)
Prime money fund assets tracked by Crane Data rose to $1.239 trillion, or 20.9% of taxable money funds' $5.919 trillion total. Among Prime money funds, CDs represent 16.3% (up from 15.5% a month ago), while Commercial Paper accounted for 22.7% (unchanged from 22.7% in July). The CP totals are comprised of: Financial Company CP, which makes up 14.8% of total holdings, Asset-Backed CP, which accounts for 4.7%, and Non-Financial Company CP, which makes up 3.2%. Prime funds also hold 4.2% in US Govt Agency Debt, 7.3% in US Treasury Debt, 24.4% in US Treasury Repo, 0.6% in Other Instruments, 10.0% in Non-Negotiable Time Deposits, 5.2% in Other Repo, 7.3% in US Government Agency Repo and 0.6% in VRDNs.
Government money fund portfolios totaled $3.124 trillion (52.8% of all MMF assets), up from $3.059 trillion in July, while Treasury money fund assets totaled another $1.557 trillion (26.3%), up from $1.539 trillion the prior month. Government money fund portfolios were made up of 20.2% US Govt Agency Debt, 17.0% US Government Agency Repo, 19.4% US Treasury Debt, 43.3% in US Treasury Repo, 0.0% in Other Instruments. Treasury money funds were comprised of 57.2% US Treasury Debt and 42.8% in US Treasury Repo. Government and Treasury funds combined now total $4.680 trillion, or 79.1% of all taxable money fund assets.
European-affiliated holdings (including repo) increased by $28.4 billion in August to $680.3 billion; their share of holdings rose to 11.5% from last month's 11.2%. Eurozone-affiliated holdings increased to $456.6 billion from last month's $442.1 billion; they account for 7.7% of overall taxable money fund holdings. Asia & Pacific related holdings rose to $253.5 billion (4.3% of the total) from last month's $238.6 billion. Americas related holdings rose to $4.975 trillion from last month's $4.911 trillion, and now represent 84.1% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $113.1 billion, or -4.7%, to $2.319 trillion, or 39.2% of assets); US Government Agency Repurchase Agreements (up $17.3 billion, or 2.9%, to $621.6 billion, or 10.5% of total holdings), and Other Repurchase Agreements (down $1.0 billion, or -1.6%, from last month to $65.1 billion, or 1.1% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $4.7 billion to $183.3 billion, or 3.1% of assets), Asset Backed Commercial Paper (down $1.3 billion to $57.7 billion, or 1.0%), and Non-Financial Company Commercial Paper (up $1.4 billion to $39.1 billion, or 0.7%).
The 20 largest Issuers to taxable money market funds as of August 31, 2023, include: the US Treasury ($1.586T, 26.8%), the Federal Reserve Bank of New York ($1.560 trillion, or 26.4%), Federal Home Loan Bank ($560.9B, 9.5%), Fixed Income Clearing Corp ($358.3B, 6.1%), RBC ($135.4B, 2.3%), BNP Paribas ($110.5B, 1.9%), Citi ($105.0B, 1.8%), Federal Farm Credit Bank ($103.9B, 1.8%), Barclays PLC ($102.4B, 1.7%), JP Morgan ($91.8B, 1.6%), Bank of America ($86.9B, 1.5%), Goldman Sachs ($73.7B, 1.2%), Credit Agricole ($58.4B, 1.0%), Wells Fargo ($56.0B, 0.9%), Societe Generale ($54.7B, 0.9%), Mitsubishi UFJ Financial Group Inc ($53.0B, 0.9%), Sumitomo Mitsui Banking Corp ($47.7B, 0.8%), Mizuho Corporate Bank Ltd ($41.9B, 0.7%), ING Bank ($40.5B, 0.7%) and Bank of Montreal ($38.6B, 0.7%).
In the repo space, the 10 largest Repo counterparties (dealers) with the amount of repo outstanding and market share (among the money funds we track) include: Federal Reserve Bank of New York ($1.560T, 51.9%), Fixed Income Clearing Corp ($358.3B, 11.9%), RBC ($114.1B, 3.8%), BNP Paribas ($96.7B, 3.2%), Citi ($92.6B, 3.1%), Barclays PLC ($86.1B, 2.9%), JP Morgan ($81.5B, 2.7%), Goldman Sachs ($73.4B, 2.4%), Bank of America ($62.8B, 2.1%), and Wells Fargo ($46.9B, 1.6%). The largest users of the $1.560 trillion in Fed RRP include: JPMorgan US Govt MM ($100.3B), Vanguard Federal Money Mkt Fund ($87.5B), Goldman Sachs FS Govt ($86.0B), Fidelity Govt Money Market ($74.0B), Fidelity Inv MM: Govt Port ($61.2B), Fidelity Govt Cash Reserves ($58.8B), Morgan Stanley Inst Liq Govt ($54.2B), BlackRock Lq T-Fund ($50.5B), BlackRock Lq FedFund ($50.3B) and Schwab Treasury Oblig MF ($49.4B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mizuho Corporate Bank Ltd ($28.7B, 5.0%), Bank of America ($24.0B, 4.2%), Credit Agricole ($22.9B, 4.0%), RBC ($21.2B, 3.7%), Toronto-Dominion Bank ($20.7B, 3.6%), Bank of Montreal ($19.5B, 3.4%), Mitsubishi UFJ Financial Group Inc ($19.3B, 3.4%), Svenska Handelsbanken ($17.9B, 3.1%), ING Bank ($17.3B, 3.0%) and Bank of Nova Scotia ($17.3B, 3.0%).
The 10 largest CD issuers include: Bank of America ($14.7B, 7.2%), Mitsubishi UFJ Trust and Banking Corporation ($12.9B, 6.4%), Sumitomo Mitsui Banking Corp ($12.3B, 6.1%), Credit Agricole ($12.1B, 6.0%), Mitsubishi UFJ Financial Group Inc ($11.8B, 5.8%), Toronto-Dominion Bank ($11.8B, 5.8%), Canadian Imperial Bank of Commerce ($10.6B, 5.2%), Mizuho Corporate Bank Ltd ($10.4B, 5.1%), Sumitomo Mitsui Trust Bank ($10.3B, 5.1%), and Wells Fargo ($9.1B, 4.5%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Bank of Montreal ($15.3B, 6.1%), RBC ($11.4B, 4.5%), Bank of Nova Scotia ($11.2B, 4.5%), Societe Generale ($11.0B, 4.4%), JP Morgan ($10.4B, 4.1%), Barclays PLC ($9.8B, 3.9%), UBS AG ($8.9B, 3.6%), Toronto-Dominion Bank ($8.5B, 3.4%), BPCE SA ($7.8B, 3.1%) and Mitsubishi UFJ Financial Group Inc ($7.4B, 3.0%).
The largest increases among Issuers include: US Treasury (up $163.3B to $1.586T), Fixed Income Clearing Corp (up $35.4B to $358.3B), Federal Home Loan Bank (up $16.1B to $560.9B), BNP Paribas (up $11.6B to $110.5B), Citi (up $11.2B to $105.0B), Wells Fargo (up $10.1B to $56.0B), Barclays PLC (up $9.4B to $102.4B), RBC (up $7.4B to $135.4B), Bank of America (up $6.0B to $86.9B) and Svenska Handelsbanken (up $4.5B to $17.9B).
The largest decreases among Issuers of money market securities (including Repo) in August were shown by: Federal Reserve Bank of New York (down $188.5B to $1.560T), JP Morgan (down $9.1B to $91.8B), Goldman Sachs (down $4.1B to $73.7B), Rabobank (down $2.4B to $6.7B), Australia & New Zealand Banking Group Ltd (down $1.6B to $13.6B), Swedbank AB (down $1.4B to $9.1B), Societe Generale (down $1.0B to $54.7B), Federal Home Loan Mortgage Corp (down $0.9B to $10.5B), Toronto-Dominion Bank (down $0.7B to $37.3B) and National Australia Bank Ltd (down $0.5B to $8.0B).
The United States remained the largest segment of country-affiliations; it represents 79.1% of holdings, or $4.683 trillion. Canada (4.9%, $291.0B) was in second place, while France (4.7%, $280.1B) was No. 3. Japan (3.9%, $230.5B) occupied fourth place. The United Kingdom (2.6%, $151.3B) remained in fifth place. Netherlands (1.2%, $68.9B) was in sixth place, followed by Germany (1.0%, $57.7B), Sweden (0.9%, $53.6B), Australia (0.5%, $28.1B), and Spain (0.3%, $18.8B). (Note: Crane Data attributes Treasury and Government repo to the dealer's parent country of origin, though money funds themselves "look-through" and consider these U.S. government securities. All money market securities must be U.S. dollar-denominated.)
As of August 31, 2023, Taxable money funds held 61.7% (down from 65.4%) of their assets in securities maturing Overnight, and another 9.2% maturing in 2-7 days (up from 7.4%). Thus, 70.8% in total matures in 1-7 days. Another 7.6% matures in 8-30 days, while 8.5% matures in 31-60 days. Note that over three-quarters, or 86.9% of securities, mature in 60 days or less, the dividing line for use of amortized cost accounting under SEC regulations. The next bucket, 61-90 days, holds 5.2% of taxable securities, while 4.8% matures in 91-180 days, and just 3.1% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
